The FEF is a fine rendition and more fully featured than the bog standard DTG/RSC steam locos. The FEF was done by Smokebox who also did the fantastic 2-8-0 Consolidation (both are well worth getting imho). Supposedly the Steam Summer Sale is happening soon (this upcoming week?) so you might be able to get those models on sale.
The Challenger and Big Boy are good models but are older in the sense of release dates and so do not have the more fleshed out features the Smokebox locos have. There are several other steam locos that pre-date Trainsimulator (when the sim was still being called Railworks) but were 'refurbished' graphically (not refurbished in features tho) that are worth looking at when on sale to flesh out the steam loco fleet
I honestly haven't paid much attention to UK steam loco offerings in the last while so can't speak to them.
Hope that helps,
Kind regards,
Dave